ABYIX vs. RWSIX

Last updated Jun 4, 2026

ABYIX (Abbey Capital Futures Strategy Fund Class I) and RWSIX (Redwood Systematic Macro Trend ("SMarT") Fund) are both Systematic Trend funds. Over the past 5 years, ABYIX returned 3.73%/yr vs 2.42%/yr for RWSIX. At a 0.19 correlation, their price movements are largely independent. ABYIX charges 1.79%/yr vs 1.30%/yr for RWSIX.

Performance

ABYIX vs. RWSIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Abbey Capital Futures Strategy Fund Class I (ABYIX) and Redwood Systematic Macro Trend ("SMarT") Fund (RWSIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ABYIX achieves a 7.88% return, which is significantly lower than RWSIX's 9.73% return.

ABYIX

• 1D: 0.25%
• 1M: 0.93%
• YTD: 7.88%
• 6M: 9.03%
• 1Y: 16.05%
• 3Y*: 2.75%
• 5Y*: 3.73%
• 10Y*: 3.54%

RWSIX

• 1D: 0.12%
• 1M: 3.21%
• YTD: 9.73%
• 6M: 10.72%
• 1Y: 17.30%
• 3Y*: 3.69%
• 5Y*: 2.42%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

ABYIX vs. RWSIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ABYIX Abbey Capital Futures Strategy Fund Class I	7.88%	1.62%	1.11%	-3.29%	17.06%	3.39%	7.92%	8.84%	-6.15%	2.11%
RWSIX Redwood Systematic Macro Trend ("SMarT") Fund	9.73%	-2.43%	-0.64%	8.92%	-6.10%	18.37%	22.40%	11.18%	-3.55%	-6.27%

Correlation

The correlation between ABYIX and RWSIX is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.39
Correlation (3Y) Calculated over the trailing 3-year period	0.22
Correlation (5Y) Calculated over the trailing 5-year period	0.14
Correlation (All Time) Calculated using the full available price history since Oct 27, 2017	0.19

The correlation between ABYIX and RWSIX shifts across timeframes, from 0.14 (5 years) to 0.39 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

ABYIX vs. RWSIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ABYIX

ABYIX Risk / Return Rank: 64
ABYIX Sharpe Ratio Rank: 50
ABYIX Sortino Ratio Rank: 47
ABYIX Omega Ratio Rank: 49
ABYIX Calmar Ratio Rank: 94
ABYIX Martin Ratio Rank: 81

RWSIX

RWSIX Risk / Return Rank: 32
RWSIX Sharpe Ratio Rank: 32
RWSIX Sortino Ratio Rank: 32
RWSIX Omega Ratio Rank: 31
RWSIX Calmar Ratio Rank: 31
RWSIX Martin Ratio Rank: 34

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ABYIX vs. RWSIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Abbey Capital Futures Strategy Fund Class I (ABYIX) and Redwood Systematic Macro Trend ("SMarT") Fund (RWSIX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	ABYIX	RWSIX	Difference
Sharpe ratio Return per unit of total volatility	2.08	1.63	+0.45
Sortino ratio Return per unit of downside risk	2.89	2.33	+0.56
Omega ratio Gain probability vs. loss probability	1.38	1.29	+0.09
Calmar ratio Return relative to maximum drawdown	5.61	2.08	+3.53
Martin ratio Return relative to average drawdown	15.20	7.63	+7.57
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ABYIX vs. RWSIX - Sharpe Ratio Comparison

The current ABYIX Sharpe Ratio is 2.08, which is comparable to the RWSIX Sharpe Ratio of 1.63. The chart below compares the historical Sharpe Ratios of ABYIX and RWSIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ABYIX	RWSIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.08	1.63	+0.45
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.47	0.20	+0.27
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.44	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.56	0.45	+0.11

Drawdowns

ABYIX vs. RWSIX - Drawdown Comparison

The maximum ABYIX drawdown since its inception was -17.13%, smaller than the maximum RWSIX drawdown of -24.90%. Use the drawdown chart below to compare losses from any high point for ABYIX and RWSIX.

Drawdown Indicators

	ABYIX	RWSIX	Difference
Max Drawdown Largest peak-to-trough decline	-17.13%	-24.90%	+7.77%
Max Drawdown (1Y) Largest decline over 1 year	-2.85%	-8.37%	+5.52%
Max Drawdown (3Y) Largest decline over 3 years	-14.00%	-24.90%	+10.90%
Max Drawdown (5Y) Largest decline over 5 years	-14.66%	-24.90%	+10.24%
Max Drawdown (10Y) Largest decline over 10 years	-14.74%	—	—
Current Drawdown Current decline from peak	-0.83%	-8.67%	+7.84%
Average Drawdown Average peak-to-trough decline	-6.66%	-6.81%	+0.15%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.05%	2.28%	-1.23%

Volatility

ABYIX vs. RWSIX - Volatility Comparison

The current volatility for Abbey Capital Futures Strategy Fund Class I (ABYIX) is 2.10%, while Redwood Systematic Macro Trend ("SMarT") Fund (RWSIX) has a volatility of 3.29%. This indicates that ABYIX experiences smaller price fluctuations and is considered to be less risky than RWSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ABYIX	RWSIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.10%	3.29%	-1.19%
Volatility (6M) Calculated over the trailing 6-month period	5.91%	8.36%	-2.45%
Volatility (1Y) Calculated over the trailing 1-year period	7.69%	10.69%	-3.00%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.99%	12.19%	-4.20%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.02%	12.29%	-4.27%

ABYIX vs. RWSIX - Expense Ratio Comparison

ABYIX has a 1.79% expense ratio, which is higher than RWSIX's 1.30% expense ratio.

Dividends

ABYIX vs. RWSIX - Dividend Comparison

ABYIX's dividend yield for the trailing twelve months is around 1.23%, less than RWSIX's 4.11% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ABYIX Abbey Capital Futures Strategy Fund Class I	1.23%	1.33%	2.10%	2.03%	15.24%	3.68%	1.54%	8.70%	0.14%	0.00%	0.00%	0.24%
RWSIX Redwood Systematic Macro Trend ("SMarT") Fund	4.11%	4.51%	0.00%	10.35%	3.41%	7.81%	7.78%	3.05%	2.51%	0.63%	0.00%	0.00%

Frequently Asked Questions

Can I hold both ABYIX and RWSIX in my portfolio?

ABYIX and RWSIX have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ABYIX or RWSIX?

RWSIX has higher volatility (3.29%) compared to ABYIX (2.10%). In terms of maximum drawdown, ABYIX dropped -17.13% vs RWSIX's -24.90%.

Which has better risk-adjusted returns?

ABYIX currently has the higher Sharpe Ratio (2.08 vs 1.63), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.